Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Technical papers/Exchanges articles
Il prezzo di un derivato basato su CMS (constant maturity swap) è ampiamente determinato dal valore delle volatilità nella swaption per strike estremi. Nel presente articolo, Fabio Mercurio e Andrea Pallavicini propongono una procedura semplice per...
In certain settings it's reasonable to assume that the current futures price embodies the market expectations of the spot price. However, as Gary Dorris, Sean Burrows and Vena Kostroun explain, there are distinct situations when this assumption does not...
Developing term structure models can be tricky, as unknown factors and non-observable variables can affect futures prices. But principal components analysis is useful in tackling these problems. Here, Delphine Lautier uses PCA to pin down price movements,...
What are the theoretical consequences of restructuring electricity markets on emissions? Here, Benoît Sévi shows that changes in supply and consumption and restructuring for competition has environmental effects, and argues that strong public policies...
In this article, Niklas Hageback takes a practical look at the difficulties in reconciling regulatory and economic capital calculation in the discipline of operational risk.
Abstract: A majority of merchant power plants built during the last few years in the US are combined-cycle units fired by natural gas. This article discusses asset-backed trading strategies for a merchant single-block power plant, showing how unit dispatches...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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